1. Portfolio selection under different attitudes in fuzzy environment
- Author
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Shouyang Wang, Benjamin Lev, Yan Tu, Jue Wang, Xiaoyang Zhou, and Xiangping Yang
- Subjects
Transaction cost ,Information Systems and Management ,Efficient frontier ,020206 networking & telecommunications ,02 engineering and technology ,Fuzzy logic ,Computer Science Applications ,Theoretical Computer Science ,Empirical research ,Artificial Intelligence ,Control and Systems Engineering ,0202 electrical engineering, electronic engineering, information engineering ,Econometrics ,Portfolio ,020201 artificial intelligence & image processing ,Stock market ,Software ,Selection (genetic algorithm) ,Value at risk ,Mathematics - Abstract
This paper studies stock portfolio selection problem based on varying conservative-neutral-aggressive attitudes. The return rates of stocks are characterized by fuzzy variables. The Pareto-optimal solutions are obtained by maximizing the return and minimizing the risk subject to constraints of transaction cost and value at risk. Since investors with different attitudes may have different understanding of the likelihoods of occurrence, measure Me with the ability of reflecting varying conservative-neutral-aggressive attitudes is adopted. Based on Me, the expected value of fuzzy return and the lower absolute deviation are used to quantify the return and risk levels of a portfolio respectively. Then the ɛ-constraint method is employed to obtain the efficient frontier. Finally, an empirical study is carried out using the data of 10 stocks in Chinese stock market. Sensitivity comparisons are conducted to demonstrate the effectiveness of the proposed model. The results show that different frontiers can be obtained under different attitudes, confidence levels and values at risk.
- Published
- 2018
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